Part of declaring your intention to trigger Queen of Thorns is to indicate which character you intend to put into play, which will be revealed (though not leave your hand) when checking the play restrictions for triggering the ability (Step 1 of the initiation sequence). As such, the decision to cancel (in Step 6) is made with full knowledge of which character will actually be put into play by the successful resolution of the ability.

Also, a card does not need to be present/active at the time it's triggering condition initiated (or resolved), it simply needs to be present at some point during the reaction window in which it would have to be triggered. Therefore, it's perfectly legal to win an intrigue challenge, draw with the Mander or search with Olenna's Cunning, then trigger the Queen of Thorns and put into play a character that wasn't in your hand when you won the intrigue challenge.

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